Se Busca una Raíz Unitaria: Evidencia para Chile
This paper presents compelling evidence against the null hypothesis of a unit root in series such IMACEC, consumption or GDP for the Chilean economy. This evidence builds on results derived by Chumacero (2000) that show that when the scale variable is difference stationary, the returns on assets should present a behavior that is not supported by the data. Thus, care should be taken when using econometric models that impose unit roots based on traditional tests.
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- Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990.
"Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?,"
8905, Michigan State - Econometrics and Economic Theory.
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Carnegie-Rochester Conference Series on Public Policy,
Elsevier, vol. 32(1), pages 7-61, January.
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- Lawrence J. Christiano & Martin Eichenbaum, 1989. "Unit Roots in Real GNP: Do We Know, and Do We Care?," NBER Working Papers 3130, National Bureau of Economic Research, Inc.
- Lawrence J. Christiano & Martin Eichenbaum, 1990. "Unit roots in real GNP: do we know, and do we care?," Working Paper Series, Macroeconomic Issues 90-2, Federal Reserve Bank of Chicago.
- Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
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Working Papers Central Bank of Chile
102, Central Bank of Chile.
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